Optimal portfolio choice under a liability constraint

Modern Portfolio Theory and Investment Analysis.

Keith Smith, Edwin J. Elton, M. J. Gruber · The Journal of Finance · 1982 · 3.1K citations

Portfolio Optimization, Classic Book, Asset Pricing +13

Review of the Principles of Life-office Valuations

F. M. Redington · Journal of the Institute of Actuaries · 1952 · 373 citations

Quality Of Life, Humanities, Art History +12

Coping with the Risk of Interest-Rate Fluctuations: Returns to Bondholders from Naive and Optimal Strategies

Lawrence Fisher, Roman L. Weil · The Journal of Business · 1971 · 273 citations

Empirical Finance, Interest-rate Fluctuations, Economics +12

Immunizing Default-Free Bond Portfolios with a Duration Vector

Donald R. Chambers, Willard T. Carleton, Richard W. McEnally · Journal of Financial and Quantitative Analysis · 1988 · 124 citations

Vaccination, Duration Vector, Immunization Efficacy +9

Duration measures for specific term structure estimations and applications to bond portfolio immunization

Eliezer Z. Prisman, Marilyn R. Shores · Journal of Banking & Finance · 1988 · 67 citations

Functional Data Analysis, Statistics, Duration Measures +1